I am liking this story. Two questions, is the bad guy who stole the the prizes a human? Or some other type of creature?
So, you move through levels, to unlock the next level, and after completing the number of levels, you play the final world stage to return that world's prize. Along the way, you unlock various special moves/weapons. And, perhaps, learn more of the story.
One thing to keep in mind, is that, I believe that people like to just jump into games, so, it has to have some semi quick levels (less then five minutes), so it would take around 15-30 mintutes per world, depending on the player's skill level.